I do have a Microsoft Essential...does this one might affect if I install it to my system?
Malwarebytes gets along fine with Microsoft Security Essential (MSE) and just about every other antivirus software. The two tools look for different things:
Malwarebytes looks for and removes Malware and Potentially Unwanted Programs (PUP).
MSE looks for and removes (when it can) software classified as a virus/trojan/....
The software that installed & used this DLL is a PUP. The line between what is a PUP and what is a virus is vague. It is possible that MSE removed the DLL, but failed to clean up the registry entry that calls for that DLL to load. Either way. Malwarebytes should get rid of the registry entry (so no more popup) and Malwarebytes should allow you to remove other stuff that it finds.
It is okay to let Malwarebytes remove whatever it finds. Malwarebytes is a conservative tool.